Statistical Tools for Risk Analysis and Modelling

Abstract

Shipping is an integral part of the transportation and logistics network and has always been considered as one of the most volatile industries, where agents are exposed to substantial financial and business risks. These risks emanate from fluctuations in freight rates, bunker prices, the price of the vessels, and even from fluctuations in the level of interest rates and exchange rates. All these factors affect the cash flows of shipping investment and operations and, as such, have a profound impact on the profitability of shipping companies as well as their business viability. Therefore, having a good understanding of risk and its dynamics is important in the setting up and implementation of effective risk-management techniques, efficient portfolio construction and asset allocation, derivatives pricing and trading, as well as value-at-risk (VaR) estimation and risk monitoring.